Explicit construction of the minimum error variance estimator for stochastic LTI state-space systems
arXiv:2109.02384v3
Originality Synthesis-oriented
AI Analysis
This work provides a specific estimator for control systems, but it is incremental as it adapts existing derivations to state-space representation.
The authors derived the minimum error variance estimator for stochastic LTI state-space systems where part of the output is unmeasured but predictable from measured outputs, presenting an explicit construction.
In this short article, we showcase the derivation of the optimal (minimum error variance) estimator, when one part of the stochastic LTI system output is not measured but is able to be predicted from the measured system outputs. Similar derivations have been done before but not using state-space representation.